Ultracontractivity for Brownian motion with Markov switching

Consider the transition density functions for Brownian motion with two-state Markov switching. The characteristic functions for transition density functions are presented. Then, we show that the semigroup-associated Brownian motion with Markov switching is ultracontractive. And an explicit time-dependent upper bound for heat kernels are presented. Moreover, we prove that the Dirichlet form associated Brownian motion with Markov switching satisfies the Nash inequality.     

Probability density function of the local score position

We calculate the probability density function of the local score position on complete excursions of a reflected Brownian motion. We use the trajectorial decomposition of the standard Brownian bridge to derive two different expressions of the density: the first one is based on a series and an integral while the second one is free off the series.     

On the most visited sites by a symmetric stable process

Summary. At time t, the most visited site of a linear Brownian motion is defined as the point which realises the supremum of the local times at time t. Let V be the time indexed process of the most visited sites by a linear Brownian motion. We show that every value is polar for V. Those results are extended from Brownian motion to symmetric stable processes, and then to the absolute value of a symmetric stable process. Received: 1 March 1996 / In revised form: 17 October 1996     

Cone paths for the planar Brownian snake

Summary. For the Brownian path-valued process of Le Gall (or Brownian snake) in , the times at which the process is a cone path are considered as a function of the size of the cone and the terminal position of the path. The results show that the paths for the path-valued process have local properties unlike those of a standard Brownian motion. Received: 29 January 1996 / In revised form: 21 June 1996     

Points of increase of the Brownian sheet

Summary. It is well-known that Brownian motion has no points of increase. We show that an analogous statement for the Brownian sheet is false. More precisely, for the standard Brownian sheet in the positive quadrant, we prove that there exist monotone curves along which the sheet has a point of increase. Received: 7 December 1994 / In revised form: 6 August 1996     

Asymptotic Estimates of the Distribution of Brownian Hitting Time of a Disc

The distribution of the first hitting time of a disc for the standard two-dimensional Brownian motion is computed. By investigating the inversion integral of its Laplace transform we give fairly detailed asymptotic estimates of its density valid uniformly with respect to the point from which the Brownian motion starts.     

Perturbed Brownian motions

Summary. We study `perturbed Brownian motions', that can be, loosely speaking, described as follows: they behave exactly as linear Brownian motion except when they hit their past maximum or/and maximum where they get an extra `push'. We define with no restrictions on the perturbation parameters a process which has this property and show that its law is unique within a certain `natural class' of processes. In the case where both perturbations (at the maximum and at the minimum) are self-repelling, we show that in fact, more is true: Such a process can almost surely be constructed from Brownian paths by a one-to-one measurable transformation. This generalizes some results of Carmona-Petit-Yor and Davis. We also derive some fine properties of perturbed Brownian motions (Hausdorff dimension of points of monotonicity for example). Received: 17 May 1996 / In revised form: 21 January 1997     

Functional Non-Central and Central Limit Theorems for Bivariate Appell Polynomials

We consider quadratic forms in bivariate Appell polynomials involving strongly dependent time series. Both the spectral density of these time series and the Fourier transform of the kernel of the quadratic forms are regularly varying at the origin and hence may diverge, for example, like a power function. We obtain functional limit theorems for these quadratic forms by extending the recent results on the convergence of their finite-dimensional distributions. Some of these are functional central limit theorems where the limiting process is Brownian motion. Others are functional non-central limit theorems where the limiting processes are typically not Gaussian or, if they are Gaussian, then they are not Brownian motion.     

Brownian motion with drift on spaces with varying dimension

Many properties of Brownian motion on spaces with varying dimension (BMVD in abbreviation) have been explored in Chen and Lou (2018). In this paper, we study Brownian motion with drift on spaces with varying dimension (BMVD with drift in abbreviation). Such a process can be conveniently defined by a regular Dirichlet form that is not necessarily symmetric. Through the method of Duhamel’s principle, it is established in this paper that the transition density of BMVD with drift has the same type of two-sided Gaussian bounds as that for BMVD (without drift). As a corollary, we derive Green function estimate for BMVD with drift.     

Bridge representation and modal-path approximation

The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional Brownian motion with drift. As a result, a small time approximation of the joint density is readily obtained by substituting the conditional expectation under the bridge measure by a single path: the modal-path from the initial point to the terminal point.     

On the length of the homotopic Brownian word in the thrice punctured sphere

We consider the word associated to the homotopic class of the Brownian path (properly closed) in the thrice punctured sphere. We prove that its length has almost surely the same behaviour as a totally asymmetric Cauchy process on the line. More precisely, the liminf has the same normalization in t log(t) and the limsup can be described by the same integral test. They are the Brownian motion counterparts of some Lévy and Khintchine results on continued fraction expansions. Received: 17 December 1996 / Revised version: 23 February 1998     

A representation formula for transition probability densities of diffusions and applications

We establish a representation formula for the transition probability density of a diffusion perturbed by a vector field, which takes a form of Cameron–Martin's formula for pinned diffusions. As an application, by carefully estimating the mixed moments of a Gaussian process, we deduce explicit, strong lower and upper estimates for the transition probability function of Brownian motion with drift of linear growth.     

Random walks and Brownian motion on cubical complexes

Cubical complexes are metric spaces constructed by gluing together unit cubes in an analogous way to the construction of simplicial complexes. We construct Brownian motion on such spaces, define random walks, and prove that the transition kernels of the random walks converge to that for Brownian motion. The proof involves pulling back onto the complex the distribution of Brownian sample paths on a single cube, combined with a distribution on walks between cubes. The main application lies in analysing sets of evolutionary trees: several tree spaces are cubical complexes and we briefly describe our results and applications in this context.     

On fractional tempered stable motion

Fractional tempered stable motion (fTSm) is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian ones but lighter than (non-Gaussian) stable ones. Moreover, in short time it is close to fractional stable Lévy motion, while it is approximately fractional Brownian motion in long time. A series representation of fTSm is derived and used for simulation and to study some of its sample paths properties.     

LARGE DEVIATION PROPERTY FOR RlEMANNIAN BROWNIAN MOTION ON A COMPLETE MANIFOLD

Let M be a connected, complete Riemannian manifold with Ricci curvatuife bounded from below, p(t,x,y) be the transition density function of the Riemannian Brownian motion, and for each $\epsilon >0,(P_{\epsilon,x})$ be the diffusion measure family associated with the transition density function p(\epsilon t,x, y). In this paper, it is shown that (P_{\epsilon ,x}) has strongly large deviation properties $\epsilon \rightarrow 0$.     

On the densities of certain bounded diffusion processes

A comprehensive outline is presented for obtaining the Laplace transforms of the transition probability density functions and of the first-passage-time densities for one-dimensional time-homogeneous diffusion processes in the presence of absorbing and/or reflecting boundaries. In particular, the Laplace transform of the transition probability density function in the presence of pairs of reflecting boundaries are explicitly obtained. Symmetric diffusion processes are then specifically considered and explicit closed-form relations are then obtained for the hyperbolic diffusion process in the presence of absorbing and/or reflecting boundaries. The special cases of the Brownian motion and of the Hongler process are finally analyzed.     

Fractional Brownian motion with complex variance via random walk in the complex plane and applications

A model of complex-valued fractional Brownian motion has been built up recently as the limit of a random walk in the complex plane, but this model involves radial steps only. It is shown that, by using non-radial steps, this model can be easily extended to define a fractional Brownian motion with complex-valued variance. The relations between complex-valued Brownian motion and the heat equation of order n is clarified and mainly one obtains the general expression of the probability density functions for these processes. One shows that the maximum entropy principle (MPE) provides the probability density of the complex-valued fractional Brownian motion, exactly like for the standard Brownian motion. And lastly, one shows that the heat equation of order 2n (which is the Fokker–Planck equation (FPE) of the complex-valued Brownian motion) has a solution which is similar to that of the FPE of fractional order introduced before by the author, therefore, to some extent, an identification between the complex-valued model via random walk in the complex plane and the model involving a derivative of fractional order.     

Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion

We provide an almost sure convergent expansion of fractional Brownian motion in wavelets which decorrelates the high frequencies. Our approach generalizes Lévy's midpoint displacement technique which is used to generate Brownian motion. The low-frequency terms in the expansion involve an independent fractional Brownian motion evaluated at discrete times or, alternatively, partial sums of a stationary fractional ARIMA time series. The wavelets fill in the gaps and provide the necessary high frequency corrections. We also obtain a way of constructing an arbitrary number of non-Gaussian continuous time processes whose second order properties are the same as those of fractional Brownian motion.     

Conditioned stochastic differential equations: theory, examples and application to finance

We generalize the notion of Brownian bridge. More precisely, we study a standard Brownian motion for which a certain functional is conditioned to follow a given law. Such processes appear as weak solutions of stochastic differential equations that we call conditioned stochastic differential equations. The link with the theory of initial enlargement of filtration is made and after a general presentation several examples are studied: the conditioning of a standard Brownian motion (and more generally of a Markov diffusion) by its value at a given date, the conditioning of a geometric Brownian motion with negative drift by its quadratic variation and finally the conditioning of a standard Brownian motion by its first hitting time of a given level. As an application, we introduce the notion of weak information on a complete market, and we give a “quantitative” value to this weak information.     

Chaos decomposition of multiple fractional integrals and applications

Chaos decomposition of multiple integrals with respect to fractional Brownian motion (with H > 1/2) is given. Conversely the chaos components are expressed in terms of the multiple fractional integrals. Tensor product integrals are introduced and series expansions in those are considered. Strong laws for fractional Brownian motion are proved as an application of multiple fractional integrals. Received: 22 September 1998 / Revised version: 20 April 1999